Abstract
A new method of LQ optimum control design for ARMAX processes is presented. It operates in time domain and solves the problem for finite control horizon but at the same time makes it possible to determine the stationary control law, to which the solution converges for growing control horizon, in terms of polynomial equations. The solution of the standard Ricatti equation is replaced by sequential factorization and de-composition of certain band matrices. This leads to efficient and numerically stable algorithms. Unlike the polynomial theory, the stationary solution obtained is unique (if it exists) and optimal also for transient and nonstationary parts of the control process. Both regulation and servo problems are considered.
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